Comparative Analysis of Probability Default Models in Commonwealth of Independent States

Student: Abramov Ivan

Educational Programme: Bachelor

Year of Graduation: 2014

This research is devoted to binary choice models which will help to describe, predict and prevent the defaults of banks in the countries the members of the Commonwealth of Independent States (CIS). Logistic regression with a use of specific bootstrap method has been applied in order to balance default and non-default observations. It is shown that the hypothesis of a nonlinear dependence of the default probability on financial indicators has not been confirmed for the banking systems of Ukraine and Kazakhstan.

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